Negative duration

Negative duration

Occurs when the price of an MBS moves in the same direction as interest rates.

Negative Duration

1. A situation in which the price of a bond or other debt security moves in the same direction of interest rates. That is, negative duration occurs when the bond prices go up along with interest rates and vice versa.

2. In banking, a situation in which the duration of a bank's liabilities exceeds that of its assets. Negative duration means that the bank's equity is negative.
References in periodicals archive ?
DoubleLine has broad discretion to modify the fund's duration within a wide range, including the discretion to construct a portfolio of investments with a negative duration.
In addition to a core of motivated sellers, MSRs offer negative duration attributes (yields increase as rates increase) and correlation to the improving US housing market (as defaults decrease, the return profile of MSRs improves).
Nevertheless, we find evidence of negative duration dependence, that is, the risk of failure of a firm-country trade relationship falls with the duration of that relationship.
That is, the hazard function shows negative duration dependence as the conditional probability of failure decreases with duration, which may be caused by unobserved individual heterogeneity, sunk costs, and/or learning-by-exporting.
The amplitude, or strength of the blast; the positive duration or the length of the wave as it rises above the atmospheric pressure; and the negative duration, how long the wave lasts as it falls below atmospheric pressure.
A negative duration coupled with a negative reserve implies that increases in the interest rate will decrease the policy reserve, which is inferred from Equation (5):
Likewise, negative duration dependence indicates that the longer a family occupied a state, the less likely they are to exit the state.
A positive duration gap indicates that the effective duration of our assets exceeds the effective duration of our liabilities by that amount, while a negative duration gap indicates the opposite.
We are underweight government securities tactically, but we have not undertaken any meaningful strategic negative duration stance, feeling there are other, better areas with the potential to add value.
My main finding there is that the reemployment hazard exhibits a negative duration dependence, which is consistent with stigma and human capital decay.
A portfolio with negative duration generally incurs a loss when interest rates and yield fall.
A negative duration gap indicates that the effective duration of the portfolio's liabilities exceeds the effective duration of its assets by that amount, while a positive duration gap indicates the opposite.